Not to mention the weekend effect which ALWAYS favors VIX - yet VXX (and the futures) can correctly acknowledge 2 days and 17+ hours that don't exist.
Let today's crash in NG get away twice - once by only shorting this weeks 13 calls (and not the 12.5) at the close last Friday and again this am by not shorting NGK outright. But I've had a battle with USO short so couldn't stay too distracted. EUR/USD down over 140 pips again today and almost 400 pips off the high last Friday am - at some point oil will notice the dollar again.
I'm thinking this is another year we will see front NG at $2 - and therefore think UNG is headed to $10. Sorry, but there's just too much NG production IMO.
On the vol front, I'm 75% out of the XIV long. While there is some nice curvature left, the run from 30 to 38 was most of the move and trying to get the last $2-$3 could prove costly as we are due for a vol reset soon.
Almost had the payroll number to the thousand - and the reaction as the S&P shrugged it off as helpful. The 0.3% AHE increase won't be missed by the Fed, though. April's NFP number in early May will be north of 200k again. That should tell the market we're hiking in June (and probably near the end of year or next January.) 1% is still an absurdly low rate, way lower than other central banks (although the EU has totally won that battle with their negative rate.)
I can only imagine the thumbs down was from one of our many spammers ....
ES drop Monday night was epic. Was able to catch a quick 25-point ride on the NQ futures - could of had more but when you have a 60+ point drop on no news, it's a bit dicey.
Continued short USO via short call spreads - there still needs to be a flush which we haven't had yet in all of this "bottoming". Seeing headlines now that some are saying the bottom is in ... well you know what that means.
I think is the month we get the stinky payroll number I mentioned a bit back (could be as low as 125k). Unfortunately not much is open other than futures so Monday could be a wild ride as Europe gets first crack at impact. Abnormal weather (in the east and west) just isn't a factor that can be seasonally adjusted for that precisely. Was it last year the March number was sub-100k? I was on a trip with my daugther that day and remember watching the mess that created.
I was looking into a UNG long starting in the upper 12s (or whatever it takes put-wise to start there) until I saw spot prices for a couple weeks back below $2 in a lot of areas. Supply crunch from last year looks like it might reverse to the other side rather quickly. One moderate winter and there will be way too much gas.
I think this is the last day we see USO near 17 for a while - lightening up on the put side for now. If it was going to run to $18 ($50 May contract), it would of by now. VXX in strange spot as market seems to be trending down slightly but vol curve is juicy so the two may offset to keep it near $25 for a while. Sold some VXX puts to hedge the XIV and grab some theta while I wait. The big part of the XIV move from 30 is done now and it's just the contango collection at 7-8% a month left.
Like you, almost got a perfect pin on UNG at $14. Still did well to buy back the calls at 13 cents and kept about 80% of the strangle proceeds. Have added the 16.50 calls to the puts to make a strangle. Oil is going nowhere fast but the options are still juicy.
I think this is another spring of "fear" in the vol futures. This should bleed the NAV of long vol products nicely. I almost hit the inital $36 target for XIV (20%) and now believe that the 25% is reachable within the coming 3 weeks. $40 in May is greater than a 50% probability with the current curve.
One item affecting the skew between the index and the futures is the Good Friday holiday (a non trading day). However, it still doesn't reconcile well with the front month with 22 days to go.
It's even more extreme with VIX, since the market for SPX options is so small, you can easily put some ask or bid orders in and move the index over 100 bps. All that matters is the opening trade for each option in the series.
Got rid of the put side of the UNG trade - morning bounce was nice as the risk is clearly to the downside. Might be the last 14 day for a while. Don't really like the futures curve for oil - lots of contango in that one - 2-3% per month is farily expensive.
I reopened the USO short put spreads - this time week 4 Mar at the 17 strike.
DXY has oil in a brief spin, but I think it probably returns to the range.
Selling 14 straddles (sometimes legging in) on UNG. 2.50 is possible, but it might take a while.
Got a double out of todays UVXY 17 calls this morning - seemed like the USD/EUR run was over and the morning would be bad for the market. Could of had a triple of course.
I'm not so sure we see many days with VIX south of 16 for a while. The VIX futures market was quite strong even with flatish SPY the other day.
Out of USO puts - only about 27% left of the sell price and with two weeks plus to go and several possible returns to that area it wasn't worth keeping them around.
Didn't let the second opportunity slip by on Thursday. We will see if it holds. Regardless, I'm comfortable starting a long position with a $46 basis in the April contract.
Tried to sell some bull put spreads yesterday on USO - got the trade on too late after it was back above 18 so I missed the target. Still enough vol in these names to play the option side as a cheaper way into the long side.
XIV trade was up 13% at one point - the curve still favors a crushing of these vol products over the coming weeks.
I'm thinking the VX bubble pops tomorrow, then some more next week. Futures held today, even if the index was effectively down (especially after accounting for the weekend which always provides a boost to the index - VIN was down today even with the weekend effect.)
We are due for some in-line numbers for jobs and that will be enough to get those on Fed watch to buy stocks.
This is shaping up to another crushing spring for VXX.
It's boring, but I'm long XIV now and looking for 20% over the next 6 weeks.